Thursday, March 16, 2017

Stocks Modestly Lower into Final Hour on Fed Rate-Hike Worries, Oil Decline, Profit-Taking, Utility/Biotech Sector Weakness

Broad Equity Market Tone:
  • Advance/Decline Line: Modestly Higher
  • Sector Performance: Mixed
  • Volume: Below Average
  • Market Leading Stocks: Outperforming
Equity Investor Angst:
  • Volatility(VIX) 11.30 -2.84%
  • Euro/Yen Carry Return Index 127.15 +.07%
  • Emerging Markets Currency Volatility(VXY) 9.05 -2.27%
  • S&P 500 Implied Correlation 44.90 -3.79%
  • ISE Sentiment Index 109.0 +6.86%
  • Total Put/Call .84 +20.0%
  • NYSE Arms 1.12 -5.4%
Credit Investor Angst:
  • North American Investment Grade CDS Index 62.03 -2.01%
  • America Energy Sector High-Yield CDS Index 386.0 -.37%
  • European Financial Sector CDS Index 85.62 -2.50%
  • Western Europe Sovereign Debt CDS Index 14.23 +.57%
  • Asia Pacific Sovereign Debt CDS Index 26.31 -3.47%
  • Emerging Market CDS Index 207.86 -1.28%
  • iBoxx Offshore RMB China Corporate High Yield Index 135.98 -.13%
  • 2-Year Swap Spread 33.0 -.75 basis point
  • TED Spread 42.75 +5.75 basis points
  • 3-Month EUR/USD Cross-Currency Basis Swap -26.5 +.25 basis point
Economic Gauges:
  • Bloomberg Emerging Markets Currency Index 71.99 +.53%
  • 3-Month T-Bill Yield .73% unch.
  • Yield Curve 120.0 unch.
  • China Import Iron Ore Spot $92.61/Metric Tonne +1.85%
  • Citi US Economic Surprise Index 57.60 -.3 point
  • Citi Eurozone Economic Surprise Index 48.90 -.8 point
  • Citi Emerging Markets Economic Surprise Index 51.60 -.5 point
  • 10-Year TIPS Spread 2.03 +2.0 basis points
  • 53.5% chance of Fed rate hike at May 3 meeting, 60.2% chance at July 26 meeting
Overseas Futures:
  • Nikkei 225 Futures: Indicating -155 open in Japan 
  • China A50 Futures: Indicating -3 open in China
  • DAX Futures: Indicating -9 open in Germany
Portfolio: 
  • Slightly Lower: On losses in my in my biotech/medical sector longs and emerging markets shorts
  • Disclosed Trades: Added to my (IWM)/(QQQ) hedges
  • Market Exposure: Moved to 75% Net Long

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